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Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures

Casarin, Roberto; Chang, Chia-Lin; Jiménez-Martín, … - Department of Economics and Finance, College of … - 2011

It is well known that the Basel II Accord requires banks and other Authorized Deposit-taking Institutions (ADIs) to communicate their daily risk forecasts to the appropriate monetary authorities at the beginning of each trading day, using one or more risk models, whether individually or as...

Persistent link: https://www.econbiz.de/10009207373

Model Selection and Testing of Conditional and Stochastic Volatility Models

Caporin, Massimiliano; McAleer, Michael - Department of Economics and Finance, College of … - 2010

volatility models, namely GARCH, GJR, EGARCH, and Stochastic Volatility that are widely used to capture asymmetry and leverage. …

Persistent link: https://www.econbiz.de/10008642500

Aggregation, Heterogeneous Autoregression and Volatility of Daily International Tourist Arrivals and Exchange Rates

Chang, Chia-Lin; McAleer, Michael - Department of Economics and Finance, College of … - 2010

conditional mean specifications. The QMLE for the GARCH(1,1), GJR(1,1) and EGARCH(1,1) models for world, US and Japanese tourist …

Persistent link: https://www.econbiz.de/10010627491

Stochastic model specification in Markov switching vector error correction models

Huber, Florian; Pfarrhofer, Michael; Zörner, Thomas O. - 2018

This paper proposes a hierarchical modeling approach to perform stochastic model specification in Markov switching vector error correction models. We assume that a common distribution gives rise to the regime-specific regression coefficients. The mean as well as the variances of this...

Persistent link: https://www.econbiz.de/10012042472

The transmission of uncertainty shocks on income inequality: State-level evidence from the United States

Fischer, Manfred M.; Huber, Florian; Pfarrhofer, Michael - 2018

In this paper, we explore the relationship between state-level household income inequality and macroeconomic uncertainty in the United States. Using a novel large-scale macroeconometric model, we shed light on regional disparities of inequality responses to a national uncertainty shock. The...

Persistent link: https://www.econbiz.de/10012042473

The dynamic impact of monetary policy on regional housing prices in the United States

Fischer, Manfred M.; Huber, Florian; Pfarrhofer, Michael; … - 2018

This paper uses a factor-augmented vector autoregressive model to examine the impact of monetary policy shocks on housing prices across metropolitan and micropolitan regions. To simultaneously estimate the model parameters and unobserved factors we rely on Bayesian estimation and inference....

Persistent link: https://www.econbiz.de/10012042476

Inducing sparsity and shrinkage in time-varying parameter models

Huber, Florian; Koop, Gary; Onorante, Luca - 2019

Time-varying parameter (TVP) models have the potential to be over-parameterized, particularly when the number of variables in the model is large. Global-local priors are increasingly used to induce shrinkage in such models. But the estimates produced by these priors can still have appreciable...

Persistent link: https://www.econbiz.de/10012042480

Measuring international uncertainty using global vector autoregressions with drifting parameters

Pfarrhofer, Michael - 2019

This paper investigates the time-varying impacts of international macroeconomic uncertainty shocks. We use a global vector autoregressive (GVAR) specification with drifting coefficients and factor stochastic volatility in the errors to model six economies jointly. The measure of uncertainty is...

Persistent link: https://www.econbiz.de/10012271234

Confirmation: What's in the evidence?

Kataria, Mitesh - Nationalekonomiska institutionen, Handelshögskolan - 2014

The difference between accommodated evidence (i.e. when evidence is known first and a hypothesis is proposed to explain and fit the observations) and predicted evidence (i.e., when evidence verifies the prediction of a hypothesis formulated before observing the evidence) is investigated....

Persistent link: https://www.econbiz.de/10011019097

Extreme Value GARCH modelling with Bayesian Inference

Oxley, Les; Reale, Marco; Scarrott, Carl; Zhao, Xin - Department of Economics and Finance, College of … - 2009

vary with time. The resulting combined model, GEV-GARCH, is developed by implementing the GARCH volatility mechanism in … for the appropriate application of the model. A comparison is made between the GEV-GARCH and traditional GARCH models …. Both the GEV-GARCH and GARCH show similarity in the resulting conditional volatility estimates, however the GEV-GARCH model …

Persistent link: https://www.econbiz.de/10005636412